In this note the unobserved component approach underlying the software package SEATS is compared with the Beveridge-Nelson type of decomposition for seasonal time series. The main strength of the SEATS approach lies in the appealing model formulation and the careful specification and adjustment...

We show in the paper that the decomposition proposed by Beveridge and Nelson (1981) for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition. Two equivalent algorithms are proposed to optimally (in the mean squared...

A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that there exist monotonic transformations such that the normalised series can asymptotically be represented by independent Brownian motions. Rank test procedures based...

In this paper we characterize what has sometimes been referred to in the literature as instantaneous causality, by examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare the concept of contemporaneous correlation due to...

In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r r0. Such a test flips the null and alternative hypotheses of Johansen's LR test and can be used jointly with the LR test to construct a confidence set for the cointegration rank....

In diesem Beitrag wird der vergleichsweise neue Ansatz der „Strukturellen Vektorautoregression“ (SVAR) vorgestellt und anhand einfacher Beispiele illustriert. Auf der Basis der Theorie rationaler Erwartungen wird unterschieden, inwieweit der Einsatz wirtschaftspolitischer Instrumente von den...

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

In this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that is based on a cointegrated VAR(p) model. A convenient two-step estimator is uggested where in the first step all individual specific parameters are estimated, whereas in the...